Zobrazeno 1 - 10
of 144
pro vyhledávání: '"Perninge, Magnus"'
Autor:
Perninge, Magnus
We prove the existence and uniqueness of viscosity solutions to quasi-variational inequalities (QVIs) with both upper and lower obstacles. In contrast to most previous works, we allow all involved coefficients to depend on the state variable and do n
Externí odkaz:
http://arxiv.org/abs/2409.04207
Autor:
Perninge, Magnus
We consider partial differential equations (PDEs) characterized by an upper barrier that depends on the solution itself and a fixed lower barrier, while accommodating a non-local driver. First, we show a Feynman-Kac representation for the PDE when th
Externí odkaz:
http://arxiv.org/abs/2402.17541
Autor:
Perninge, Magnus
In this paper, we introduce a non-linear Snell envelope which at each time represents the maximal value that can be achieved by stopping a BSDE with constrained jumps. We establish the existence of the Snell envelope by employing a penalization techn
Externí odkaz:
http://arxiv.org/abs/2308.16504
Autor:
Perninge, Magnus
We consider quasi-variational inequalities (QVIs) with general non-local drivers and related systems of reflected backward stochastic differential equations (BSDEs) in a Brownian filtration. We show existence and uniqueness of viscosity solutions to
Externí odkaz:
http://arxiv.org/abs/2210.02417
Autor:
Perninge, Magnus
We consider a general type of non-Markovian impulse control problems under adverse non-linear expectation or, more specifically, the zero-sum game problem where the adversary player decides the probability measure. We show that the upper and lower va
Externí odkaz:
http://arxiv.org/abs/2206.14785
Autor:
Perninge, Magnus
We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of "backward sem
Externí odkaz:
http://arxiv.org/abs/2112.09350
Autor:
Perninge, Magnus
We consider a robust impulse control problem in finite horizon where the underlying uncertainty stems from an impulsively and continuously controlled functional stochastic differential equation (FSDE) driven by Brownian motion. We assume that the con
Externí odkaz:
http://arxiv.org/abs/2103.16272
Autor:
Perninge, Magnus
We consider an infinite horizon, obliquely reflected backward stochastic differential equation (RBSDE). The main contribution of the present work is that we generalize previous results on infinite horizon reflected BSDEs to the setting where the driv
Externí odkaz:
http://arxiv.org/abs/2103.05603
Autor:
Jönsson, Johan, Perninge, Magnus
In this work we show that one can solve a finite horizon non-Markovian impulse control problem with control dependant dynamics. This dynamic satisfies certain functional Lipschitz conditions and is path dependent in such a way that the resulting traj
Externí odkaz:
http://arxiv.org/abs/2006.09768